The Robust Asset Allocation – Balanced strategy was developed by Wes Gray of Alpha Architects and profiled in his book DIY Finacial Advisor.
Gray uses both Dual Momentum and Meb Faber’s GTAA to determine when to move in and out of assets and how much is allocated to each.
It is the same as the Aggressive version but with a different asset allocation.
The portfolio, on average, allocates 30% to equities, 14% to bonds, and 56% to cash, REITs, and commodities.
Weight | Ticker | ETF Name | Sector | |
|---|---|---|---|---|
30% | BIL | SPDR Blmbg Barclays 1-3 Month T-Bill ETF | Bond, U.S., Ultra Short-Term | |
15% | VNQ | Vanguard Real Estate Index Fund ETF | Real Estate, U.S. | |
14% | IEF | iShares 7-10 Year Treasury Bond ETF | Bond, U.S., Intermediate-Term | |
11% | DBC | Invesco DB Commodity Index Tracking Fund | Commodity, Diversified | |
8% | MTUM | iShares Edge MSCI USA Momentum Factor ETF | Equity, U.S., Large Cap, Momentum | |
8% | IWD | iShares Russell 1000 Value ETF | Equity, U.S., Large Cap, Value | |
7% | EFA | iShares MSCI EAFE ETF | Equity, Inter. Developed, Large Cap | |
7% | EFV | iShares MSCI EAFE Value ETF | Equity, Inter. Developed, Value |
This strategy trades once per month.
The portfolio is divided as follows:
Ticker | Asset Class | Weight |
|---|---|---|
MTUM | US Momentum | 10% |
IWD | US Large Cap Value | 10% |
EFA | International Equities | 10% |
EFV | International Value | 10% |
VNQ | REITs | 20% |
DBC | Commodities | 20% |
IEF | Intermediate-Term US Treasuries | 20% |
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Low | Average | High | |
|---|---|---|---|
1-Year | -6.6% | 10.0% | 37.1% |
3-Year | -0.8% | 9.9% | 25.4% |
5-Year | 0.6% | 9.8% | 21.2% |
10-Year | 2.8% | 10.0% | 17.5% |
Portfolio | 60/40 | S&P 500 | |
|---|---|---|---|
Annual Return | 9.7% | 9.3% | 10.3% |
10Y Annual Return | 3.7% | 7.9% | 12.2% |
Sharpe Ratio | 0.78 | 0.51 | 0.43 |
Max Drawdown | -12.0% | -29.7% | -50.97% |
Volatility (annualized) | 6.7% | 9.9% | 15.4% |
Dot Com Annual Return | 4.4% | -4.2% | -14.60% |
Great Financial Crisis Annual Return | 5.2% | -0.3% | -5.66% |
Positive Periods | 72.7% | 65.8% | 63.3% |
**S&P 500 backtest to 1972 and 60/40 backtest to 1970
